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Breaks in DSGE models

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Author Info

  • Richard Harrison

    (Bank of England)

  • George Kapetanios

    (Queen Mary, University of London)

  • Alasdair Scott

    (International Monetary Fund)

  • Jana Eklund

    (Bank of England)

Abstract

We explore this issue by estimating our RBC model on US and UK data.

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File URL: http://www.economicdynamics.org/meetpapers/2008/paper_657.pdf
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Bibliographic Info

Paper provided by Society for Economic Dynamics in its series 2008 Meeting Papers with number 657.

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Date of creation: 2008
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Handle: RePEc:red:sed008:657

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Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
Fax: 1-314-444-8731
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Web page: http://www.EconomicDynamics.org/society.htm
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References

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  1. Yuriy Gorodnichenko & Serena Ng, 2009. "Estimation of DSGE Models When the Data are Persistent," NBER Working Papers 15187, National Bureau of Economic Research, Inc.
  2. Dueker Michael & Fischer Andreas & Dittmar Robert, 2007. "Stochastic Capital Depreciation and the Co-movement of Hours and Productivity," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(3), pages 1-24, January.
  3. Garcia, R. & Perron, P., 1994. "An Analysis of the Real Interest rate Under Regime Shifts," Cahiers de recherche 9428, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. James B. Bullard & Aarti Singh, 2009. "Learning and the Great Moderation," Working Papers 2007-027, Federal Reserve Bank of St. Louis.
  5. Rochelle M. Edge & Thomas Laubach & John C. Williams, 2004. "Learning and shifts in long-run productivity growth," Working Paper Series 2004-04, Federal Reserve Bank of San Francisco.
  6. Michael R. Pakko, 2001. "What happens when the technology growth trend changes?: transition dynamics, capital growth and the "new economy"," Working Papers 2001-020, Federal Reserve Bank of St. Louis.
  7. George Kapetanios & Elias Tzavalis, 2004. "The Impact of Large Structural Shocks on Economic Relationships: Evidence from Oil Price Shocks," Working Papers 524, Queen Mary, University of London, School of Economics and Finance.
  8. Francis Vitek, 2005. "An Unobserved Components Model of the Monetary Transmission Mechanism in a Closed Economy," Macroeconomics 0512018, EconWPA, revised 04 Feb 2006.
  9. Alvarez-Lois, Pedro & Harrison, Richard & Piscitelli, Laura & Scott, Alasdair, 2008. "On the application and use of DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 32(8), pages 2428-2452, August.
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